The Oil of Catechumens is used in the celebration of the Sacrament of Baptism. The word "catechumen" comes from the Greek "katekhouminos" - one instructed. Those who have studied Catholic beliefs and practices before being baptized are called catechumens.
The point in using this oil is to signify that in Baptism, we are being made spiritually "slippery" so that Satan cannot get a hold of us and prevent us from being faithful sons and daughters of God. In the Greco-Roman world, oil was thought to give soldiers and athletes strength. Oil also made athletes slippery so that in wrestling matches it was more difficult to be defeated by one's opponent.